triCalculate XVA Case Study

CLIENT PROFILE

Client type

Leading regional bank with international presence.

End user

Head of Derivatives and Capital Markets.

THE CHALLENGE & SOLUTION

THE CHALLENGE

The bank required quarterly CVA calculations for their accounting reporting requirements. The bank did not have the time or internal resources to develop a robust CVA model. They had been relying on a manual spreadsheet-based method that produced numerous inconsistencies, and was becoming an operational risk.

THE SOLUTION

The bank quickly graduated from using an unsophisticated, manual process for calculating CVA to having a robust, reliable, transparent and well-documented solution.

Because triCalculate’s cost-effective pricing model is transparent and doesn’t include onboarding fees, the bank provided an appealing ROI analysis to its executive management to support the decision to select triCalculate. And because the triCalculate ‘go-live’ timeframe is typically under 30 days, the bank could quickly begin receiving results.

Since the successful implementation, the bank’s front office team has expressed interest in using triCalculate to produce daily, intraday, and pre-trade CVA figures.

THE DIFFERENTIATORS

SPEED

The client wanted to avoid a lengthy implementation and integration process. Software solutions take a minimum of 12 months to be operational, but with the secure, web-based triCalculate service the bank was up and running in under 30 days.

COST

triCalculate’s transparent pricing model is pay-as-you-go with no onboarding fees. It is based on four variables: number of trades, number of netting sets (counterparties), number of users, and frequency of calculation. An in-depth cost-benefit analysis was conducted by the bank, and triCalculate was deemed the most cost-efficient solution available.

FLEXIBILITY & RESPONSIVENESS

The client had several exotic trades on their books that needed to be handled by triCalculate. The triCalculate team responded proactively and created new templates for the exotic trades within days, rather than weeks or months.

CENTRALISED

XVA calculations are often required by multiple business units and functions within a financial institution, including front office, middle office, risk, and finance. In this case, both the Head of Derivatives and Capital Markets and the front office team can easily leverage the solution to produce fast, consistent results with increased operational efficiency, without the need for clunky infrastructure.

THE CLIENT SAYS

“When we began looking for an XVA solution, we wanted something that was based on sound modelling, provided for all our functional and technical requirements, and was easy to use. Overall cost was important to us which is why we opted against installed software that would take a year or more to implement. triCalculate is a disruptor in this industry and has met all of our criteria.”

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. The company offers futures and options on futures trading through the CME Globex® platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform. In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing. With a range of pre- and post-trade products and services underpinning the entire lifecycle of a trade, CME Group also offers optimization and reconciliation services through TriOptima, and trade processing services through Traiana.

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